An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns-Reference-Cited by-同舟云学术

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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns

Published:2003 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Getmansky Mila,Lo Andrew W.,Makarov Igor

Publisher

Elsevier BV

Reference85 articles.

1. The Performance of Hedge Funds: Risk, Return, and Incentives;C Ackermann;Journal of Finance,1999

2. Performance Evaluation of Hedge Funds with Option-Based and Buy-and-Hold Strategies

3. On Taking the "Alternative" Route: The Risks, Rewards, and Performance Persistence of Hedge Funds;V Agarwal;Journal of Alternative Investments,2000

4. Multi-Period Performance Persistence Analysis of Hedge Funds Source;V Agarwal;Journal of Financial and Quantitative Analysis,2000

5. Risks and Portfolio Decisions Involving Hedge Funds;V Agarwal;Institute of Finance and Accounting Working Paper,2002

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Higher moment diversification benefits of hedge fund strategy allocation;Journal of Derivatives & Hedge Funds;2010-05

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